Junkee Jeon

Kyung Hee University - Department of Applied Mathematics

1732 Deogyeong-daero, Giheung-gu,

Yongin, 130-701

Korea, Republic of (South Korea)

http://sites.google.com/site/junkeejeon/home

  • Kyung Hee University - Department of Applied Mathematics

SCHOLARLY PAPERS

22

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Scholarly Papers (22)

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1.

Optimal Retirement Under Partial Information

Number of pages: 44 Posted: 19 Oct 2020 Last Revised: 08 Jun 2021
Kexin Chen, Junkee Jeon and Hoi Ying Wong
The Hong Kong Polytechnic University, Kyung Hee University - Department of Applied Mathematics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Downloads 192 (269,000)
Citation 1

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voluntary retirement, portfolio optimization, optimal consumption, optimal stopping, free boundary problem, partial information

2.

Intertemporal Preference with Loss Aversion: Consumption and Risk Attitude

Journal of Economic Theory, Forthcoming
Number of pages: 62 Posted: 23 Oct 2019 Last Revised: 15 Nov 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 168 (302,153)

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consumption irreversibility, intertemporal loss aversion, excess sensitivity and smoothness, asymmetric sensitivities, consumption heterogeneity, U-shaped risky share

3.

Asset Pricing with Consumption Frictions

Number of pages: 44 Posted: 08 Nov 2019 Last Revised: 28 Jun 2021
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 150 (332,448)
Citation 2

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Frictional Consumption, Adjustable Consumption, Asset Pricing, Habit Model, Intertemporal Loss Aversion, Hansen-Scheinkman Decomposition

4.

Optimal Long-term Contracts with Disability Insurance under Limited Commitment

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 48 Posted: 18 Jul 2019 Last Revised: 24 Feb 2022
Kyoung Jin Choi, Junkee Jeon, Ho-Seok Lee and Hsuan-Chih Lin
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics, Kwangwoon University - Department of Mathematics and Academia Sinica - Institute of Economics
Downloads 125 (383,016)

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Disability Insurance, Limited Commitment, Truth-telling, Dynamic Contracting, Incentives

5.

Intertemporal Preference with Loss Aversion: Aggregate Consumption and Asset Management

Number of pages: 28 Posted: 12 Jun 2019 Last Revised: 13 Jan 2020
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 112 (415,134)

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Consumption irreversibility, intertemporal loss aversion, consumption autocorrelation, asset management, durable good, multiple goods

6.

Optimal Consumption and Investment with Welfare Constraints

Finance and Stochastics, forthcoming
Number of pages: 49 Posted: 01 Jun 2022 Last Revised: 12 May 2023
Junkee Jeon and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 97 (465,444)

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consumption and investment, welfare constraints, general utility, singular control problem, duality approach, dynamic constraints

7.

Optimal Staking and Liquid Token Holding Decisions in Cryptocurrency Markets

Number of pages: 42 Posted: 02 Aug 2023 Last Revised: 16 Aug 2023
Kyoung Jin Choi, Junkee Jeon and Byung Hwa Lim
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Department of Fintech, SKK Business School, Sungkyunkwan University
Downloads 88 (488,434)

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Cryptocurrency Investment, Staking, DAO, Decentralized Autonomous Organization, Blockchain, Proof of Stake, DeFi, Decentralized Finance

8.

Horizon Effect on Optimal Retirement Decision

Quantitative Finance, Forthcoming
Number of pages: 50 Posted: 07 Sep 2021 Last Revised: 12 Sep 2022
Junkee Jeon, Minsuk Kwak and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Department of Mathematics, Hankuk University of Foreign Studies and Nanyang Technological University (NTU)
Downloads 80 (517,425)
Citation 1

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early retirement, mandatory retirement, optimal stopping in finite horizon, consumption and investment, life insurance, parabolic free-boundary problem, non-linear integral equation

9.

Consumption Heterogeneity, Business Cycle, and Asset Pricing

Number of pages: 27 Posted: 25 Jul 2022 Last Revised: 29 Aug 2023
Kyoung Jin Choi, Junkee Jeon and Hyeng Keun Koo
University of Calgary - Haskayne School of Business, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 79 (521,192)

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Consumption Heterogeneity, Consumption-wealth Ratio, Time-varying Risk Aversion, Risk-Return, Sharpe Ratio, Intertemporal Loss Aversion

10.

Continuous-Time Portfolio Selection: A Cursory Survey

Number of pages: 20 Posted: 17 Dec 2019 Last Revised: 07 Feb 2020
Se Yung Bae, Junkee Jeon and Hyeng Keun Koo
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Business Administration
Downloads 71 (553,773)

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Portfolio Selection, Dynamic Programming, Maximum Principle, Dual Martingale Approach, Retirement, Protection of Spending Power

11.

Portfolio Selection with Drawdown Constraint on Consumption: A Generalization Model

Number of pages: 42 Posted: 06 Dec 2019 Last Revised: 04 Sep 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and Nanyang Technological University (NTU)
Downloads 61 (599,052)
Citation 1

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Drawdown constraint, Habit formation, Portfolio selection, Singular control problem, von Neumann--Morgenstern utility, Free boundary problem, Two-dimensional problem

12.

Labor Supply Flexibility and Portfolio Selection with Early Retirement Option

Appied Mathematics and Optimization, forthcoming
Number of pages: 40 Posted: 10 Aug 2022 Last Revised: 12 May 2023
Junkee Jeon and Jehan Oh
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Kyungpook National University.
Downloads 59 (608,898)

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portfolio selection, labor supply, early retirement, optimal stopping problem, free boundary problem, stochastic wage rate

13.

Optimal Retirement and Portfolio Selection with Consumption Ratcheting

Number of pages: 47 Posted: 29 Oct 2019 Last Revised: 02 Jan 2020
Junkee Jeon and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics and Nanyang Technological University (NTU)
Downloads 58 (614,094)
Citation 8

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Portfolio selection, Consumption ratcheting, Early retirement option, Singular control problem, Optimal stopping problem

14.

The Finite-Horizon Consumption-Investment and Retirement Problem with Borrowing Constraint

Number of pages: 66 Posted: 24 Feb 2023 Last Revised: 12 Apr 2023
Junkee Jeon, Takwon Kim and Zhou Yang
Kyung Hee University - Department of Applied Mathematics, Research Institute of Mathematics and School of Mathematical Sciences, South China Normal University
Downloads 56 (624,410)

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consumption-investment problem, early retirement option, borrowing constraint, controller-and-stopper games, finite-horizon, parabolic variational inequality, obstacle problems, gradient constraints, free boundary

15.

Optimal Annuitization with Early Retirement: A Martingale-Dual Approach

Forthcoming, Journal of Risk Management (리스크관리연구)
Number of pages: 33 Posted: 15 Apr 2022 Last Revised: 09 Jun 2022
Junkee Jeon and Seyoung Park
Kyung Hee University - Department of Applied Mathematics and Nottingham University Business School
Downloads 55 (629,624)
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optimal annuitization, early retirement, martingale method, variational inequality

16.

Optimal Finite Horizon Contract with Limited Commitment

forthcoming in Mathematics and Financial Economics
Number of pages: 47 Posted: 22 Jun 2020 Last Revised: 09 Sep 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Nanyang Technological University (NTU)
Downloads 51 (657,178)
Citation 2

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Optimal contract, Limited commitment, Principal-Agent problem, Optimal stopping problem, Singular control problem

17.

Human Capital and Portfolio Choice: Borrowing Constraint and Reversible Retirement

Number of pages: 32 Posted: 13 Apr 2023
Junkee Jeon, Hyeng Keun Koo and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 46 (680,767)

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human capital, reversible retirement, borrowing constraints, marginal value of financial wealth, optimal risky investment

18.

A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints

Number of pages: 38 Posted: 29 Aug 2022 Last Revised: 05 Aug 2023
Junkee Jeon, Hyeng Keun Koo and Minsuk Kwak
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Department of Mathematics, Hankuk University of Foreign Studies
Downloads 46 (680,767)

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dual two-person zero-sum game, optimal retirement, borrowing constraint, general utility, Nash-equilibrium, Hamilton-Jacobi-Bellman quasi-variational inequality

19.

Optimal Consumption and Investment with a Costly Reversible Job-Switching Option

Number of pages: 34 Posted: 28 Aug 2023
Junkee Jeon and Gyoocheol Shim
Kyung Hee University - Department of Applied Mathematics and Ajou University - Department of Financial Engineering
Downloads 34 (762,446)

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consumption and investment, job-switching with costs, disutility, optimal switching problem, a system of two variational inequality

20.

Social Insurance for the Elderly

Number of pages: 45 Posted: 07 Mar 2020
Se Yung Bae, Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Ajou University - Department of Financial Engineering, Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Nanyang Technological University (NTU)
Downloads 34 (762,446)
Citation 1

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Social Insurance, Consumption, Portfolio Selection, Retirement, Optimal stopping problem, Duality

21.

Finite Horizon Portfolio Selection with Durable Goods

Number of pages: 28 Posted: 03 Dec 2020 Last Revised: 31 Mar 2021
Junkee Jeon, Hyeng Keun Koo and Kyunghyun Park
Kyung Hee University - Department of Applied Mathematics, Ajou University - Department of Business Administration and Nanyang Technological University (NTU)
Downloads 26 (826,416)
Citation 1

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Durable goods, Portfolio selection, Risk Aversion, Variational inequality, Integral equation, Optimal stopping problem

22.

Dynamic Asset Allocation and Consumption Ratcheting with Costs

Number of pages: 26 Posted: 25 Aug 2023
Junkee Jeon and Jehan Oh
Kyung Hee University - Department of Applied Mathematics and Department of Mathematics, Kyungpook National University.
Downloads 18 (899,862)

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consumption ratcheting, investment, utility cost, obstacle problem, free boundary problem, singular control problem